NVDA Options History — January 2015

In January 2015, NVDA traded between $0.48 and $0.52. ATM implied volatility averaged 32.4%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.0% (HV 20d: 26.4%). Max pain ranged from $0.50 to $0.53. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2015-01-05: Highest Volume — 1,413,680 contracts
  • 2015-01-12: Largest IV spike — 13.5% change
  • 2015-01-30: Highest IV Rank — 60.6%
  • 2015-01-30: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.50$0.48$0.52$0.50$0.48
Max Pain$0.51$0.50$0.53$0.53$0.50
ATM IV32.4%28.8%36.9%28.8%36.9%
Expected Move9.9%9.0%11.6%9.4%11.6%
HV 20d26.4%23.1%32.1%23.1%32.1%
HV 60d26.1%24.3%29.3%28.8%25.8%
IV Rank42.3%27.7%60.6%27.7%60.6%
IV Percentile71.4%59.5%88.9%60.7%88.9%
Term Structure1.0%-3.3%5.3%1.0%-3.3%
VWIV36.2%33.0%43.1%33.0%39.8%
Skew 25d3.9%0.0%6.3%5.3%0.0%
Skew 10d13.0%6.0%22.3%11.7%8.7%
Call IV 25d32.3%27.1%38.5%27.5%38.5%
Put IV 25d36.2%31.6%39.8%32.8%38.6%
Bid-Ask Spread %16.9811.9521.5514.6321.17
Gamma HHI0.270.130.870.250.27
Net GEX2.9M-362.5K26.0M3.8M1.1M
Net DEX-34.5M-61.0M-7.5M-61.0M-15.0M
Net VEX-373.4K-464.4K-336.2K-391.1K-374.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.083.593.591.53
Total Volume554,592100,6001,413,680577,400638,360
Total OI8,371,4426,283,00010,436,3209,995,6807,333,280

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$0.50$0.5328.8%9.4%23.1%27.7%33.0%5.3%1.0%3.8M-61.0M-391.1K3.5914.63N/AN/A125,800451,6004,142,2805,853,400
2015-01-05$0.49$0.5329.8%9.8%23.7%31.7%36.1%3.8%4.8%2.9M-39.0M-396.7K0.0821.09N/AN/A1,312,160101,5204,054,1605,522,040
2015-01-06$0.48$0.5331.2%10.2%25.5%37.4%35.4%6.2%3.1%2.1M-10.8M-464.4K3.2321.55N/AN/A69,480224,5604,870,9605,565,360
2015-01-07$0.48$0.5329.7%10.0%25.3%31.6%35.3%4.2%5.3%-333.4K-7.5M-401.7K0.7015.06N/AN/A100,12070,4004,089,8005,538,240
2015-01-08$0.50$0.5029.0%9.5%29.6%28.8%34.5%5.1%4.1%3.1M-49.3M-385.1K2.0218.21N/AN/A213,680430,6004,151,5605,576,720
2015-01-09$0.50$0.5028.9%9.3%28.7%28.2%33.1%3.6%3.3%3.7M-50.9M-382.6K2.4119.86N/AN/A179,480431,8404,210,8005,617,560
2015-01-12$0.49$0.5032.8%9.7%29.0%44.0%41.2%2.5%0.8%2.8M-34.6M-400.0K2.2814.40N/AN/A177,320404,8004,083,2805,451,280
2015-01-13$0.49$0.5033.2%9.8%26.8%45.6%35.6%3.0%1.6%2.5M-36.6M-377.2K1.9619.68N/AN/A247,320485,9204,162,3605,491,960
2015-01-14$0.49$0.5033.6%10.1%26.9%47.2%41.1%3.2%1.3%2.8M-33.7M-407.6K1.8615.96N/AN/A228,640425,6404,193,2405,528,280
2015-01-15$0.49$0.5034.3%10.1%26.5%50.1%43.1%1.8%1.8%2.9M-38.9M-371.4K2.8517.60N/AN/A151,600432,6004,193,5605,524,240
2015-01-16$0.50$0.5032.8%9.6%23.5%44.1%33.8%2.4%1.2%26.0M-49.4M-355.9K0.1814.80N/AN/A318,40056,3604,191,4405,529,920
2015-01-20$0.50$0.5034.0%9.7%23.4%48.7%33.9%5.1%-0.5%222.7K-25.4M-350.1K0.3213.76N/AN/A265,56084,0402,051,3604,231,640
2015-01-21$0.51$0.5032.8%9.4%23.7%44.1%33.7%3.8%-0.3%975.5K-40.2M-351.1K0.6915.00N/AN/A59,40041,2002,280,0804,263,680
2015-01-22$0.52$0.5032.4%9.3%23.6%42.4%34.9%5.5%-0.9%1.6M-49.9M-338.4K1.8015.81N/AN/A179,320323,3202,306,2004,279,320
2015-01-23$0.52$0.5031.2%9.0%23.6%37.5%33.5%6.3%-1.1%1.1M-53.7M-336.5K1.9916.79N/AN/A168,320334,6402,325,7204,289,680
2015-01-26$0.52$0.5031.8%9.3%23.6%39.8%35.5%4.5%-1.5%1.2M-45.9M-336.2K1.5811.95N/AN/A107,960170,6802,226,9204,136,320
2015-01-27$0.49$0.5034.6%10.1%29.4%51.3%36.2%3.6%-0.9%-6.4K-17.0M-345.8K1.2517.43N/AN/A139,320174,2802,315,2004,270,880
2015-01-28$0.48$0.5034.1%10.5%29.6%49.1%36.2%3.7%-0.4%-362.5K-8.0M-347.2K1.8318.36N/AN/A199,320364,3202,409,0404,389,240
2015-01-29$0.49$0.5035.8%11.0%30.8%56.2%38.7%4.4%-0.4%-62.2K-22.5M-355.2K0.4316.58N/AN/A841,160360,8002,440,8804,336,960
2015-01-30$0.48$0.5036.9%11.6%32.1%60.6%39.8%0.0%-3.3%1.1M-15.0M-374.3K1.5321.17N/AN/A252,000386,3602,977,9204,355,360